Ryzyko struktury: Rys koncepcyjny
[The Risk of the Structure: Initial proposal]
AbstractThe article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was discussed. The practical aspects of the proposed solution were outlined.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 34257.
Date of creation: 01 Sep 2010
Date of revision: 01 May 2011
Risk; Risk model; Basel; Accord; CRD; Capiatl groups; Economic capital; Capital alocation; Capital requirements; Subsidiaries; Strukture; VAR; CVAR; Related parties; Fair value; Parent entity; Measurement; Solvency; Transaction value;
Find related papers by JEL classification:
- M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- P34 - Economic Systems - - Socialist Institutions and Their Transitions - - - Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-22 (All new papers)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-RMG-2011-10-22 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Damir Filipović & Michael Kupper, 2008. "Optimal Capital And Risk Transfers For Group Diversification," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 18(1), pages 55-76.
- Frank Dierick & Fatima Pires & Martin Scheicher & Kai Gereon Spitzer, 2005. "The New Basel Capital Framework and its implementation in the European Union," Occasional Paper Series 42, European Central Bank.
- John H. Jackson, 2010. "The Quest for International Law in Financial Regulation and Monetary affairs," Journal of International Economic Law, Oxford University Press, Oxford University Press, vol. 13(3), pages 525-526, September.
- Thomas Cottier & Rosa M. Lastra, 2010. "The Quest for International Law in Financial Regulation and Monetaryaffairs," Journal of International Economic Law, Oxford University Press, Oxford University Press, vol. 13(3), pages 527-530, September.
- Staszkiewicz, Piotr W., 2013.
"Mechanizm wczesnego ostrzegania firm inwestycyjnych
[Early warning mechanism of bankruptcy for investment companies]," MPRA Paper 44290, University Library of Munich, Germany.
- Staszkiewicz, Piotr W., 2011. "Multi entry framework for financial and risk reporting," MPRA Paper 34903, University Library of Munich, Germany.
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